IDEAS home Printed from https://ideas.repec.org/p/arx/papers/1706.01562.html
   My bibliography  Save this paper

Pricing Asian options for NIG and VG Levy markets

Author

Listed:
  • Belkacem Berdjane

Abstract

In this work, we study the value of an Asian option in the case of exponential Levy markets. More specifically, we are interested in the NIG (normal inverse Gaussian) the VG (variance gamma) models. The exponential Levy models produce incomplete markets. There are therefore an infinite number of equivalent martingale measures. We are interested in two methods of constructing of the risk-neutral measures. The first is based on the Esscher transform, and the other consists of bringing a risk-neutral correction on the dynamics of the trajectories. It turns out, according to the numerical results obtained, that the two methods generally produce the same prices.

Suggested Citation

  • Belkacem Berdjane, 2017. "Pricing Asian options for NIG and VG Levy markets," Papers 1706.01562, arXiv.org.
    • Handle: RePEc:arx:papers:1706.01562
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/1706.01562
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1706.01562. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.